Functional quantization of Gaussian processes

By Harald Luschgy, Gilles Pagès. 2002

113 citations recorded by the source corpus.

Subfields: Finance, Numerical Analysis, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/63ee68e13da364254345d55837f20164926e6033

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Gilles Pagès
2. Harald Luschgy
3. Huyen Pham

In Numerical Analysis

1. Harald Luschgy
2. Gilles Pagès

In Statistics and Probability

1. Harald Luschgy
2. Gilles Pagès

Citations in the corpus

• MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS (2011, unknown): “The case of fractional Brownian motion In [50, 17], it is shown that the Karhunen-Loève eigenvalues of fBm on [0, T ] verify λ H n ∼ νH n2H+1 as n→ ∞, where νH is a positive constant.”
• Functional quantization rate and mean regularity of processes with an application to Lévy processes (2006, background): “On the other hand, optimal Lr-quantizers always exist when E = Rd, d ≥ 1.”